Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
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Bibliographic InfoArticle provided by Springer in its journal Computational Statistics.
Volume (Year): 25 (2010)
Issue (Month): 1 (March)
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Web page: http://www.springerlink.com/link.asp?id=120306
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- Michel Beine & Sébastien Laurent & Christelle Lecourt, 2002. "Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates," ULB Institutional Repository 2013/10443, ULB -- Universite Libre de Bruxelles.
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